Hello all,
Just need some help with something I can't find the reference for...
In Pipeline, I am using the Q1500 and SimpleMovingAverage. I do not know how to call the previous SMA.
For instance:
def make_pipeline():
base_universe = Q1500US()
mean_5 = SimpleMovingAverage(inputs=[USEquityPricing.close], window_length=5, mask=base_universe)
--> how would I call mean_5's previous value here? <--I appreciate anyone's assistance.
Thank you.
Danny
@Daniel
The built in factors generally return the latest values (in this case the latest average or mean). In order to get a previous value you will need to write a small custom factor. Maybe something like this.
class PreviousMean(CustomFactor):
# Define inputs
inputs = [USEquityPricing.close]
# Set window_length to 1 day more than length of mean length
window_length = 6
def compute(self, today, assets, out, close):
# Take the mean of previous days but exclude the latest date
out[:] = np.nanmean(close[0:-1], axis=0)
I've attached a notebook with this in action.
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